I'm not sure about performance. Their purpose are just different. TImage for displaying image while TPaintBox for drawing.
When we draw in a TImage, we will mostlikely draw on Bitmap.Canvas inside Picture. The bitmap could has different dimension than TImage dimension.
It might be an advantage or disadvantage that TImage will provide stretching and centering but the Bitmap is not actually as shown. On the side, TPaintBox only has one dimension.